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Derivatives | 9 Months Ended
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Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Derivatives | Derivatives
Interest Rate Swap |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Derivatives | NSM Interest Rate Swap On May 11, 2018, NSM entered into the NSM Bank Facility. Interest on the NSM Bank Facility accrues at a floating interest rate equal to the three month LIBOR or the Prime Rate, as published by the Wall Street Journal plus, in each case, an applicable margin. The margin over LIBOR may vary between 4.25% and 4.75%, and the margin over the Prime Rate may vary between 3.25% and 3.75%, in each case, depending on the consolidated total leverage ratio of the borrower. On June 15, 2018, NSM entered into an interest rate swap agreement to hedge its exposure to interest rate risk on its variable rate term loans. Under the terms of the swap agreement, NSM pays a fixed rate of 2.97% and receives a variable rate, which is reset monthly, based on then-current LIBOR. The variable rate received by NSM under the swap agreement was 2.07% at September 30, 2018. Over the term of the swap, the notional amount decreases in accordance with the principal repayments NSM expects to make on its term loans. As of September 30, 2018, NSM’s blended interest rate on the outstanding term loan principal amount of $150.6 million was 6.69%, and 7.47% after consideration of the interest rate swap. NSM’s obligations under the swap are secured by the same collateral securing the NSM Bank Facility on a pari passu basis. NSM does not currently hold any collateral deposits from or provide any collateral deposits to the swap counterparty. NSM evaluated the effectiveness of the swap to hedge its interest rate risk associated with its variable rate debt and concluded at the swap inception date that the swap was highly effective in hedging that risk. NSM will evaluate the effectiveness of the hedging relationship on an ongoing basis. For the three months ended September 30, 2018 and the period from May 11, 2018 through September 30, 2018, NSM recognized net interest expense of $0.3 million and $0.4 million for the periodic net settlement payments on the swap. As of September 30, 2018, the estimated fair value of the swap and the accrual of the periodic net settlement payments recorded in other liabilities was $0.1 million. There was no ineffectiveness in the hedge for the three months ended September 30, 2018 and the period from May 11, 2018 through September 30, 2018. Accordingly, the full amount of the change in the fair value of the swap of $1.0 million and $(0.1) million for the three months ended September 30, 2018 and the period from May 11, 2018 through September 30, 2018 are included within accumulated other comprehensive income (loss).
Forward Contracts |
Derivative Instruments and Hedging Activities Disclosures [Line Items] |
Derivatives | White Mountains’s investment portfolio includes investments denominated in Japanese Yen, Euros, GBP and other foreign currencies. White Mountains previously entered into foreign currency forward contracts to manage its foreign currency exposure related to these investments. In conjunction with the liquidation of the GBP investment grade corporate bond mandate in the first quarter of 2018, White Mountains closed the associated foreign currency forward contract. White Mountains no longer has any open foreign currency forward contracts. As of December 31, 2017, White Mountains held $206.3 million total gross notional value of a foreign currency forward contract with a carrying value of $(3.7) million. The derivative (losses) gains recognized in net realized and unrealized investment gains (losses) for the nine months ended September 30, 2018 were $(3.5) million. The derivative (losses) gains recognized in net realized and unrealized investment gains (losses) for the three and nine months ended September 30, 2017 were $(10.0) million and $(23.1) million.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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